SRLN
SPDR Blackstone Senior Loan ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SRLN (SPDR Blackstone Senior Loan ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -7.9% (compared to the benchmark's drawdown of -22.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.8%, compared to a Buy-and-Hold benchmark return of 4.0%. The strategy executed 20 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
SRLN Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.93% | 4.25% | 4.64% | 4.72% | 4.47% | 4.50% | 3.79% | 4.05% |
| Sharpe Ratio | 1.43 | 1.42 | 1.57 | 1.18 | 1.39 | 0.72 | 1.22 | 0.69 |
| Max Drawdown | -3.26% | -3.26% | -4.47% | -7.93% | -7.86% | -22.29% | -7.86% | -22.29% |
| % Time Invested | 100.0% | 100.0% | 91.9% | 100.0% | 95.3% | 100.0% | 95.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.3 | 0.0 | 1.8 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2026-03-13 | 2026-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2025-05-16 | 2026-03-13 | Completed | 33.33% | $37.89 | $39.14 | 3.24% | Signal | |
| 2025-04-11 | 2025-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2023-06-30 | 2025-04-11 | Completed | 33.33% | $32.62 | $36.53 | 11.94% | Signal | |
| 2023-05-26 | 2023-06-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2023-01-10 | 2023-05-26 | Completed | 33.33% | $31.55 | $31.70 | 0.42% | Signal | |
| 2022-09-07 | 2023-01-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2022-05-17 | 2023-01-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.99% | Interest Income | |
| 2022-03-28 | 2023-01-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.10% | Interest Income | |
| 2022-07-08 | 2022-09-07 | Completed | 33.33% | $30.33 | $31.21 | 2.84% | Signal | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2021-03-01 | 2022-06-14 | Completed | 33.33% | $31.56 | $30.62 | -3.00% | Stop | |
| 2020-05-28 | 2022-05-17 | Completed | 33.33% | $28.44 | $31.17 | 9.53% | Signal | |
| 2020-05-28 | 2022-03-28 | Completed | 33.33% | $28.44 | $32.13 | 12.91% | Signal | |
| 2020-12-31 | 2021-03-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-01 | 2020-12-31 | Completed | 33.33% | $26.13 | $31.15 | 19.18% | Signal | |
| 2020-04-03 | 2020-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-10 | 2020-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-01 | 2020-04-03 | Completed | 33.33% | $26.13 | $26.12 | -0.08% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-02-26 | 2020-03-10 | Completed | 33.33% | $28.70 | $28.50 | -0.75% | Stop | |
| 2019-02-26 | 2020-03-10 | Completed | 33.33% | $28.70 | $28.50 | -0.75% | Stop | |
| 2016-12-05 | 2020-03-10 | Completed | 33.33% | $26.51 | $28.50 | 7.42% | Stop | |
| 2019-01-10 | 2019-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2018-12-21 | 2019-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2016-07-13 | 2019-01-10 | Completed | 33.33% | $25.91 | $28.29 | 9.11% | Signal | |
| 2016-05-04 | 2018-12-21 | Completed | 33.33% | $25.59 | $27.48 | 7.34% | Signal | |
| 2016-04-27 | 2016-12-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2015-12-03 | 2016-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2015-08-25 | 2016-05-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2015-09-17 | 2016-04-27 | Completed | 33.33% | $25.69 | $25.51 | -0.77% | Signal | |
| 2015-09-17 | 2015-12-03 | Completed | 33.33% | $25.69 | $25.14 | -2.20% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-30 | 2015-08-25 | Completed | 33.33% | $25.72 | $25.45 | -1.10% | Stop | |
| 2015-03-30 | 2015-08-25 | Completed | 33.33% | $25.72 | $25.45 | -1.10% | Stop | |
| 2015-03-30 | 2015-08-25 | Completed | 33.33% | $25.72 | $25.45 | -1.10% | Stop | |
| 2015-03-26 | 2015-03-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-26 | 2015-03-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-26 | 2015-03-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |